Integration of group decisions and XCS in intelligent financial decision support system -An example of Taiwan index

Jung Bin Li, An Tsung Yu, An-Pin Chen

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

2 Scopus citations

Abstract

The fluctuant, nonlinear and chaotic characteristics of the stock market have long been a topic of interest for investors and financial researchers. This study attempts to exploit computer technology, financial mathematics, and econometrics to make reasonable investment decisions to reduce man-made errors or mistakes and to increase profits. This work implements a system which is an application of eXtended Classifier System (XCS), which incorporates features such as dynamic learning and group decision making. An empirical study is conducted by comparing the profitability of the proposed system with that of investment strategies based on simple rules with single technical indices, individual learning XCS, buy and hold, and six-year term deposit. The proposed system demonstrates superior performance in terms of accuracy, rate of cumulative return, and variance of return.

Original languageEnglish
Title of host publication2006 IEEE Congress on Evolutionary Computation, CEC 2006
Pages2389-2396
Number of pages8
StatePublished - 1 Dec 2006
Event2006 IEEE Congress on Evolutionary Computation, CEC 2006 - Vancouver, BC, Canada
Duration: 16 Jul 200621 Jul 2006

Publication series

Name2006 IEEE Congress on Evolutionary Computation, CEC 2006

Conference

Conference2006 IEEE Congress on Evolutionary Computation, CEC 2006
CountryCanada
CityVancouver, BC
Period16/07/0621/07/06

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